In this paper we deal with the problem of modeling the relationship of GDP and the debt of the government. The aim is to examine conditions of the economic system that influence the behaviour of these two macroeconomic variables. As it is known, the EU requires so called Maastricht criteria. We...

The aim of the paper is to compare the forecasting performance of a class of state-dependent autoregressive (SDAR) models for univariate time series with two alternative families of nonlinear models, such as the SETAR and the GARCH models. The study is conducted on US GDP growth rate using...

This paper analyzes the evolution of the Lebanese GDP growth rate over the period 1970- 2019 by estimating two kinds of switching models: The Smooth Transition Autoregressive (STAR) model and the model of the Markov process. These models show, on the one hand, asymmetries in the evolution of GDP...

The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved...